Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to face the duration problem in a more effective way. The model is applied to a sample of contracts drawn at random from a mutual insurance company.
Year of publication: |
2009
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Authors: | D'Amico, Guglielmo ; Guillen, Montserrat ; Manca, Raimondo |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 2, p. 173-179
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Publisher: |
Elsevier |
Subject: | Multi state model Duration model |
Saved in:
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